Should Commodity Investors Follow Commodities' Prices?

DOI10.1137/18M1198284zbMath1417.91451OpenAlexW2900463546MaRDI QIDQ4968921

Antonella Tolomeo, Paolo Guasoni, Gu Wang

Publication date: 10 July 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/18m1198284

zbMATH Keywords

filteringportfolio choicelong runintertemporal hedgingcommodities

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Young, timid, and risk takers ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ Convergence of the Kiefer–Wolfowitz algorithm in the presence of discontinuities

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